Ivolution Research Journal · Working paper

Short-volume-ratio regime instability

The aggregate daily off-exchange short-volume ratio has NO stable monotonic relation to next-day SPX returns across sub-periods.

DP-04 · v1·Proposed·Narrative — weak evidence·Dark pool

Cite as: DP-04: Short-volume-ratio regime instability. Ivolution Research Journal.

Publication status

The study is published as a working paper while a required data source remains unavailable. No result exists yet.

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Symbols

SPX

Regimes

Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day

Horizons

1 session

DP-04: Short-volume-ratio regime instability — Ivolution Research Journal